Second-Order Stochastic Dominance Constraints Induced by Mixed-Integer Linear Recourse
dc.contributor.author | Gollmer, Ralf | |
dc.contributor.author | Gotzes, Uwe | |
dc.contributor.author | Schultz, Rüdiger | |
dc.contributor.editor | Higle, Julie L. | |
dc.contributor.editor | Römisch, Werner | |
dc.contributor.editor | Sen, Surrajeet | |
dc.date.accessioned | 2017-06-16T20:14:08Z | |
dc.date.available | 2017-06-16T20:14:08Z | |
dc.date.created | 2007-06-11 | |
dc.date.issued | 2007-06-03 | |
dc.date.submitted | 2007-01-08 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/9030 | |
dc.description.abstract | We introduce stochastic integer programs with dominance constraints induced by mixed-integer linear recourse. Closedness of the constraint set mapping with respect to perturbations of the underlying probability measure is derived. For discrete probability measures, large-scale, block-structured,mixed-integer linear programming equivalents to the dominance constrained stochastic programs areidentified. For these models, a decomposition algorithm is proposed. Computational tests withinstances from power optimization and Sudoku puzzling conclude the paper. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | stochastic dominance | eng |
dc.subject | stochastic integer programming | eng |
dc.subject | mixed integer optimization | eng |
dc.subject.ddc | 510 Mathematik | |
dc.title | Second-Order Stochastic Dominance Constraints Induced by Mixed-Integer Linear Recourse | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10078091 | |
dc.identifier.doi | http://dx.doi.org/10.18452/8378 | |
local.edoc.pages | 16 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
dc.identifier.zdb | 2936317-2 | |
bua.series.name | Stochastic Programming E-Print Series | |
bua.series.issuenumber | 2007,6 |